EQUITY MARKET INDEX VAR REPORTING PROJECT

Equity Market Index VAR Reporting Project



Equity Market Index VaR Reporting Project

1. Obtain pricing data for each index for the period January 1st, 2007 to January 1st, 2010. Justifying your choice of sampling frequency, calculate and present descriptive statistics each index. Comment generally on the macroeconomic environment at the time, making certain to touch upon key developments that impacted assets valuation and the risk of both individual assets as well as portfolios?

Choice of Sampling Frequency

Two indices are used in this study, Index A is based on S & P 100 Index and Index B is based on PHLX Gold/Silver Sector.

Descriptive Statistics

N

Range

Minimum

Maximum

Sum

Mean

Std. Deviation

Variance

Skewness

Kurtosis

Statistic

Statistic

Statistic

Statistic

Statistic

Statistic

Std. Error

Statistic

Statistic

Statistic

Std. Error

Statistic

Std. Error

Index A

756

407.66

322.13

729.79

4.27E5

5.6440E2

4.13630

113.72945

1.293E4

-.301

.089

-1.367

.178

Index B

756

140.65

65.72

206.37

1.14E5

1.5034E2

1.01623

27.94164

780.735

-.399

.089

-.140

.178

Valid N (list wise)

756

Descriptive statistics is a big part of the statistic that is dedicated to analyze and represent data. This analysis is very basic. Although there is a tendency to generalize the entire population, the first conclusions obtained after a descriptive analysis is a study by calculating a series of measures of central tendency, to see to what extent the data is grouped or scattered around a central value. This is what could be an approximate concept. The result of the descriptive statistics of Index A and Index B are showing the mean, standard deviation. The means of Index A is 5.644 with standard error of 4.13; moreover, Index A has variance of 1.29 and has a standard deviation of 113.7. In addition to this, means of Index B is 1.503 with standard error of 1.01; furthermore, Index B has variance of 780.7 and has a standard deviation of 27.9. The purpose of descriptive statistics is to describe, that is to say to sum ??up or represent, by statistics, the data available when they are numerous. Descriptive statistics is the branch of statistics that includes the many techniques used to describe a relatively large set of data. Besides it, the Index A and Index B have very different statistics, the reason of such difference is that Index A belongs to a broad measure of the market that is S & P 100, while the Index B reflects the performance of a narrow, industry specific subset that is Gold / Silver sector.

Stock Index

Stock index is the stock price index. In this case, it is S & P 100 that is Index A and Gold / Silver that is Index B; by the Stock Exchange or the preparation of financial services institutions that the share price movements as a reference for the indicators. As the volatile ups and downs of stock prices, investors will face the market price risk. For details of specific changes in the price of stock, investors easy to understand, and for a variety of stock price changes, to understand one by one, neither be easy nor troublesome (Lee, Chien & Liao, 2009, 827-847). To adapt to this situation and needs, some financial services institutions to use their business knowledge and familiarity with market advantages, the preparation of the stock price index, published as indicators of ...